NATIXIS - Universal registration document and financial report 2019

3 RISK FACTORS, RISK MANAGEMENT AND PILLAR III Basel 3 Pillar III disclosures

Market risk 3.3.3.5 A – Market risk measurement methodology Market risk measurement methodologies are described in Section 3.2.5. “Risk management – Market risks”.

B – Detailed quantitative disclosures Market risk under the standardized approach (EU MR1)

Nature of risk (in millions of euros)

RWA

OFR

SA

4,897 1,244

392

Interest rate risk (general and specific) Equity risk (general and specific)

99 25

310

Foreign exchange risk

2,668

213

Commodity risk

675 277

54 22

Options

Simplified approach Delta-plus method Scenario approach

62

5

216 108

17

Securitization

9

TOTAL 31/12/2019 TOTAL 31/12/2018

5,283 5,185

423 415

VaR, stressed VaR and IRC within the regulatory scope (MR3)

(in millions of euros)

2019

VaR (10 day 99%) Maximum value Average value Minimum value

37.4 20.7 11.3 27.5 61.6 47.8 37.0 55.8

Value at end of period

Stressed VaR (10 day 99%) Maximum value

Average value Minimum value

Value at end of period

Incremental Risk Charge (99.9%) Maximum value

35.6 15.6

Average value Minimum value

9.0

Value at end of period

10.1

Backtesting within the regulatory scope (MR4)

Backtesting is presented in Section 3.2.5 “Risk management – Market risks”.

200

NATIXIS UNIVERSAL REGISTRATION DOCUMENT 2019